Willpower can be strengthened with practice. (See this post and the comments.) The problem is that, if you practice any particular thing for long enough, it becomes an automatic habit, willpower is out of the picture, and it becomes useless as a strength-building exercise.
The only willed practices that can never become fully habitual, the only ones which will always require the exercise of the will to some degree, are those that flout our deepest natural instincts — those pertaining most directly to the evolutionary non-negotiables of survival and reproduction. As Hamlet says — emphasis added — “Use almost can change the stamp of nature.”
On the survival-related side, we have such practices as fasting and self-flagellation. The problem with these is that, well, they’re survival-related. You can only go so far with them before they lead to injury or death. No one this side of sainthood can actually fast for 40 days and 40 nights.
That leaves sexual lust as the most promising punching-bag on which to build one’s willpower muscles. Like our survival instincts, it’s not going to go away — you won’t just “get over” it as you might get over a desire to smoke or play video games — but unlike them, it can be safely flouted without risk of injury or death. And, aside from its effects on willpower, sexual self-control is a good thing to develop in its own right — something positively healthy, unlike fasting or self-flagellation.
And, given the sex-saturated nature of modern culture, most people aren’t even going to have to do anything very extreme in the lust-control department to find their willpower severely tested (and thus strengthened). As an indicator of just how crazy the current situation is, a 2009 study of the effects of Internet pornography ran into problems when the researchers were unable to find anyone at all to put in the control group! For most 21st-century men, even bringing their sexual behavior up to the level of the average caveman would be a major accomplishment.